What is a cookie? 

"Cookies" are data that web sites send to your computer while running a web browser that can record things such as where you've visited in a site, how often you've visited the site, etc. While cookies normally do not associate your actual name with the places you visit, if the web site happens to pick up your name and cross-references the two pieces of information, that web site can find out a lot of things about you personally that you may not wish the web site's administrators to know. Cookies are useful in situations where you wish a web site to remember configuration options regarding the website.

Newer web browsers have options to warn you before accepting a "cookie" from an Internet site, and there are shareware/freeware programs available to completely remove cookies from a system.